Other than events like New Year's count-down and fireworks or marathons - or horse races, major events in Hong Kong are generally held in one of a few
coliseums / stadiums.
Such events include concerts, major conferences or exhibitions. Here's a list of the venues:

Hong Kong Coliseum - indoors, located in Hung Hom right next to the Hung Hom MTR station. Capacity: 12,500 or more.